Favorites gone mad...

I’ll try to explain this as precisely as I can so you don’t need to waste your time asking me further questions.

I have windows 7 Ultimate.
I have a desktop shortcut to Favorites.
To my knowledge, I have changed nothing recently.
I have run multiple AV & Malware scans that all come back clean.

Here’s the problem:
Anything I try to move within the main Favorites (only favorites) folder generates a yellow “Windows Security Warning” that says in part “These Files May be Harmful…” I’m sure you have all seen them before.

Now, this only happens within the main folder, not in subfolders within Favorites.
It is not limited to Internet shortcuts either.
I can open a new word doc in Favorites and as soon as I try to move it within or to the desktop, I get the “Warning.” I can move anything from outside the Favorites into it without the warning but if I try to move that same item back out I get the warning. I have read old Google items but they all refer to it being a Local Intranet issue. I don’t think so.

Hi,
I believe you left out that these files... came from an x-p system correct ?
Cheers.

I tested myself and can confirm the "problem", but I discovered an interesting thing (not sure if this was what you meant)

In explorer: showing folder Favorites, the left pane is showing the Favorites folders including sub-folders, and the right pane is showing all sub-folders followed by all shortcuts in the (root) Favorites folder.
If I move/copy to a sub-folder using only the right pane, I get a warning
If I move/copy to the exact same sub-folder but in the left pane, I get NO warning. Very strange!

Can't recall that I've tested this before so perhaps a recent Windows Update could explain it. Anyway, I think you can rule out malware. It has something to do with Windows itself :)

Favorites is a much different location than anywhere else on a machine,
It's the only location that can't be shared via home group...
So I would say it's normal,
Cheers.